Estimate country-specific Johansen test results in a Global VECM setting
Estimate country-specific Johansen test results in a Global VECM setting
GVECM.jo(data,p=2,FLag=3,ecdet = "const", type = "eigen",spec = "longrun", season = NULL,weight.matrix)
data |
Dataframe is a strictly balanced panel data format,the first column is cross-section ID,and the second column is Time. For the sake of identification, both columns must be named by, respectively, id and Time. |
p |
The number of lag for Xt matrix. |
FLag |
The number of lag for foreign VECMiables in country-specific VECM |
ecdet |
Character, 'none' for no intercept in cointegration, 'const' for constant term in cointegration and 'trend' for trend variable in cointegration. |
type |
Model specificaiton for VECM. As in package VECMs, we have four selection: "none","const","trend", "both". |
spec |
Determines the specification of the VECM, see details in pakcage urca. |
season |
If seasonal dummies should be included, the data frequency must be set accordingly,i.e '4' for quarterly data. |
weight.matrix |
Bilateral trade weight matrix for computing foreign VECMiables. If the computation of foreign VECMiables are weighted by one weighting matrix, weight.matrix must be a "data.frame". If the computation of foreign VECMiables are weighted on a year-to-year basis, then weight.matrix must be a "list, with the same length as the weighting frequency. |
JO.test |
List object of country-specific Johansen test results |
VECMoutputs |
List object of country-specific VECM results |
RESID |
List object of country-specific VECM residuals, obtained by using vars::vec2var |
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Mauro Filippo di and Pesaran H. M. (2013) The GVECM Handbook– Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.
data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
type="const"
ic="SC"
weight.matrix=tradeweight1
mainOUT.JO=GVECM.jo(data=PriceVol,p=2,FLag=3, weight.matrix=weight.matrix)
mainOUT.JO$JO.testPlease choose more modern alternatives, such as Google Chrome or Mozilla Firefox.